Inference in possibly integrated vector autoregressive models: Some finite sample evidence
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Recommendations
- Statistical inference in vector autoregressions with possibly integrated processes
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- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Cites work
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Fully Modified Least Squares and Vector Autoregression
- Inference in Linear Time Series Models with some Unit Roots
- Multiple Time Series Regression with Integrated Processes
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical inference in vector autoregressions with possibly integrated processes
- Understanding spurious regressions in econometrics
- Vector autoregression and causality: a theoretical overview and simulation study
- Vector Autoregressions and Causality
Cited in
(16)- A note on the causality between export and productivity: an empirical re-examination
- Statistical inference in vector autoregressions with possibly integrated processes
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Testing for nonzero impulse responses in vector autoregressive processes
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Subsampling vector autoregressive tests of linear constraints
- Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components
- Empirical likelihood test for causality of bivariate AR(1) processes
- Short run and long run causality in time series: inference
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
- Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
- Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
- A comparison of some common methods for detecting Granger noncausality
- Statistical inference for local Granger causality
- A note on hypothesis testing based on the fully modified vector autoregression
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